The 42-year-old actress and husband David Benioff already have two daughters, Frances, seven, and Molly, four.
Peet's pregnancy came as a surprise to fans and the media alike when she walked the red carpet at the Emmys in late August sporting an already growing baby bump.
In October she spoke to Us Weekly about her third pregnancy at the UN Foundation and Walgreens Shot@Life campaign.
"It's great. I can't complain. I mean, I'm tired but otherwise, I'm doing really well," said the Something's Gotta Give actress.
— POPSUGAR (@POPSUGAR) December 8, 2014
She went on to explain how the couple came up with their daughter's name, Molly.
"David hid behind his back two crumpled up pieces of paper. We couldn't leave the hospital because we couldn't decide what her name should be," she said. "The car was downstairs and yeah, it was cut throat. There were two, he wrote them down on a piece of paper, and then hid them behind his back. And that's how she became Molly June."
— HELLO! (@hellomag) August 27, 2014
Peet couldn't contain her excitement about the impending birth of her son in an interview with People back in October.
"I'm very excited," she said. "[My daughters] are very excited now. We'll see what happens when he actually arrives."